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Rogstadius, Jakob. "Visualizing the Ethiopian Commodity Market." Thesis, Linköping University, Department of Science and Technology, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-19564.
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The Ethiopia Commodity Exchange (ECX), like many other data intensive organizations, is having difficulties making full use of the vast amounts of data that it collects. This MSc thesis identifies areas within the organization where concepts from the academic fields of information visualization and visual analytics can be applied to address this issue.Software solutions are designed and implemented in two areas with the purpose of evaluating the approach and to demonstrate to potential users, developers and managers what can be achieved using this method. A number of presentation methods are proposed for the ECX website, which previously contained no graphing functionality for market data, to make it easier for users to find trends, patterns and outliers in prices and trade volumes of commodieties traded at the exchange. A software application is also developed to support the ECX market surveillance team by drastically improving its capabilities of investigating complex trader relationships.Finally, as ECX lacked previous experiences with visualization, one software developer was trained in computer graphics and involved in the work, to enable continued maintenance and future development of new visualization solutions within the organization.
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Kaas, Susanna. "Validation of market commodity forward curves." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172427.
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In this thesis the aim was to propose a method that could be used to validate the market commodity forward curve and analyse if the method is possible to apply. The thesis is limited to forward curves with equally spaced maturities up to one year and seasonal price patterns. The method suggested is to construct a reference curve by simulating futures prices with the seasonal cost-of-carry model and perform linear interpolation between these simulated values. The validation method was applied to UK natural gas futures traded on the Intercontinental Exchange for every trading day in December 2013. Estimates were based on settlement prices for the period 2011- 01-01 to 2013-11-30. Resulting reference curves appeared to capture the seasonal behaviour of UK natural gas in a correct way and the shape of the curve seemed to follow the market curve. However the majority of observed time series representing the state variables did not fulfil model assumptions. Therefore the observation period was shortened to 2012-07-01-2013-11-30 but the result was only slightly improved. It was still the case that some of the state variable processes did not follow model assumptions. By performing likelihood ratio test it was found that for some state variables the speed of mean reversion could be set to zero. The conclusion was that the proposed method is not appropriate to use for validating the market curve for the considered contracts. This is because model assumptions for state variables were not always fulfilled and some of the state variable process could be reduced to random walks. Perhaps model assumptions are fulfilled if the method is applied to another time period. However it is difficult to use a method for validation if historical data sometimes suggests that times series are not stationary and do not fulfil model assumptions. Finally the conclusion was drawn that for the chosen commodity the validation method is not applicable.I detta examensarbete var målet att föreslå en metod för att validera marknadskurvan för råvaruterminer och utvärdera den föreslagna metoden. Examensarbetet är begränsat till marknadskurvor för råvaruterminer med säsongsberoende och likafördelade förfallodagar upp till ett år. Valideringsmetoden som föreslås är att med en teoretisk modell skapa en referenskurva som kan jämföras med marknadskurvan. Metoden för att skapa referenskurvan är att simulera terminspriser med seasonal cost-of-carry model och sedan interpolera linjärt mellan de simulerade punkterna. Valideringsmetoden appliceras på råvaruterminer med UK naturgas som underliggande tillgång och handlas på Intercontinental Exchange. Det historiska dataset som användes utgörs av observationsperioden 2011-01-01 till 2013-11-30. Referenskurvor skapades för varje handelsdag i december 2013 och verkade uppfylla det förväntade säsongsberoendet hos naturgas. Analyser visade dock att modellantagandena inte alltid var uppfyllda av de genererade processerna från historiskt data. Observationsperioden kortades ned men resultatet blev endast något bättre, dock uppfyllde fortfarande inte några av processerna de uppställda antagandena. Resultat visade också att vissa av processerna för båda observationsperioderna kunde reduceras till slumpvandringar. Slutsatsen av arbetet är att den föreslagna metoden inte är lämplig för validering av marknadskurvan för den analyserade tidsperioden. Orsaken till detta var att modellantaganden inte var uppfyllda för alla tillståndsvariabler samt att några av processerna kunde reduceras till slumpvandringar. Dock är det möjligt att modellantaganden skulle kunna uppfyllas för en annan tidsperiod. Eftersom det är svårt att använda en metod för validering om historisk data inte alltid uppfyller modellantaganden och om processerna inte är stationära drogs slutsatsen att den föreslagna metoden inte är lämplig för den analyserade råvaran.
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Ellefsen, Per Einar. "Commodity market modeling and physical trading strategies." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/61602.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2010.Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (p. 114-116).
Investment and operational decisions involving commodities are taken based on the forward prices of these commodities. These prices are volatile, and a model of their evolution must correctly account for their volatility and correlation term structure. A two-factor model of the forward curve is proposed and calibrated to the crude oil, shipping, natural gas, and heating oil markets. The theoretical properties of this model are explored, with focus on its decomposition into independent factors affecting the level and slope of the forward curve. The two-factor model is then applied to two problems involving commodity prices. An approximate analytical expression for the prices of Asian options is derived and shown to explain the market prices of shipping options. The floating storage trade, which appeared in the oil market in late 2008, is presented as an optimal stopping problem. Using the two-factor model of the forward curve, the value of storing crude oil is derived and analyzed historically. The analytical framework for physical commodity trading that is developed allows for the calculation of expected profits, risks involved, and exposure to the major risk factors. This makes it possible for market participants to analyze such physical trades in advance, creates a decision rule for when to sell the cargo, and allows them to hedge their exposure to the forward curve correctly.
by Per Einar S. Ellefsen.
S.M.
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Домашенко, Марина Дмитрівна, Марина Дмитриевна Домашенко, Maryna Dmytrivna Domashenko, and D. Hlushchenko. "Ukraine’s participation in the international commodity market." Thesis, Сумський державний університет, 2021. https://essuir.sumdu.edu.ua/handle/123456789/86648.
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Tkachev, Ilya. "Hedging strategy for an option on commodity market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5393.
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In this work we consider the methods of pricing and hedging an option on the forward commodity market described by the multi-factor diffusion model. In the previous research there were presented explicit valuation formulas for standard European type options and simulation schemes for other types of options. However, hedging strategies were not developed in the available literature. Extending known results this work gives analytical formulas for the price of American, Asian and general European options. Moreover, for all these options hedging strategies are presented. Using these results the dynamics of the portfolio composed of options on futures with different maturities is studied on a commodity market.
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Tang, Weiqing. "Global commodity futures market modelling and statistical inference." Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/8661/.
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This thesis first investigates the asset pricing ability of a new risk factor, namely Risk-Neutral Skewness (estimated based on option data) in the global commodity futures market. Skewness trading behaviour in the option market is attributed to heterogeneous belief and selective hedging concern. The negative (positive) the Risk-Neutral Skewness is accompanied with excess trading on put (call) option contracts, which leads to underlings' over-pricing (under-pricing). Above results are robust to time-series and cross-sectional test and other alternatives. Secondly, a new functional mean change detection procedure is proposed via the Kolmogorov-Smirnov functional form. Simulations indicate decent testing power under the alternative. An empirical test procedure is deployed for crude oil and gold futures price term structure, showing real market data change. The multivariate forecasting regression analysis uncovers trading behaviours behind the real-world change occurrence. Lastly, the futures basis term structure is forecasted under the framework of the functional autoregressive predictive factor model with lag 1. By comparison, the new method outperforms other functional and non-functional methods, with maturities less than 10 months. The Model Confidence Set method statistically validate this result. A new variance minimization trading strategy is proposed and tested when the future futures basis is forecast and known.
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Ronchi, Loraine. "Fairtrade and market failures in international commodity trade." Thesis, University of Sussex, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.514184.
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This thesis concerns an intervention in commodity markets known as 'Fairtrade', which pays producers a minimum 'fair' price and provides support to their cooperative organisations. Fairtrade justifies its intervention in commodity markets like coffee by claiming that factors like market power and producer organisation inefficiency marks down the prices producers receive ("producer price mark-downs"). As the market share of Fairtrade coffee grows. its intervention in commodity markets is of increasing interest. This is particularly true as international commodity policy also increasingly focuses less on the support and stabilisation of low prices. and more on enabling producers to increase their share of existing returns through gains in efficiency and profitability. Using an original data set collected from fieldwork in the coffee market for Costa Rica, the thesis assesses the role of Fairtrade in overcoming the market factors it claims limits producer returns. Careful research into farm-gate prices paid by milling firms and the detailed construction of an international benchmark price for Costa Rican coffee permit the construction of a producer price mark-down measure that informs on efficiency and market power. In addition to the role of Fairtrade, the measure permits the testing of hypotheses about what explains producer price mark-downs over mills and over time. Features of the Costa Rican input market for coffee permit a generalisation of the results. The empirical results find that market power is a limiting factor in the Costa Rican market and that Fairtrade does improve the efficiency of cooperatives, thereby increasing the returns to producers. The results also suggest that producers selling to vertically integrated multinational coffee mills face lower producer price mark-downs as compared to domestically owned non-cooperative mills. This result contradicts the popular view that increasing concentration of vertically-Integrated multinational firms account for a decline in coffee producer returns over time.
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Nurmos, Ville, and Mattias Andersson. "Nordic electricity hedging : A comparison with other commodity market structures." Thesis, KTH, Tillämpad termodynamik och kylteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129188.
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This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. The report consists of a literature review with a theoretical background, CATWOE and a case analysis of each commodity market. The markets are thereafter analysed, compared and discussed regarding the research questions. It is concluded that the Nordic electricity market is in many ways comparable to other commodities, although it has some special characteristics. Key factors determining market success have been identified as (1) correlation between perceived risk and derivative risk, (2) trust for and experience of trading institutions and trading environment and (3) expectations. Based on the findings a new conceptual measure for market liquidity, Relative Market Liquidity, is introduced and discussed. The comparison in this thesis is based on the Nordic electricity market, but much of the results are applicable to other commodity markets. The thesis has been written during spring 2013 at the Royal Institute of Technology Department of Energy Technology in co-operation with Vattenfall AB.
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Thomas, Stuart John, and stuart thomas@rmit edu au. "Modelling Commodity Prices in The Australian National Electricity Market." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20080528.160806.
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Beginning in the early 1990s several countries, including Australia, have pursued programs of deregulation and restructuring of their electricity supply industries. Dissatisfaction with state-run monopoly suppliers and a desire for increased competition and choice for consumers have been the major motivations for reform. In Australia, the historical, vertically-integrated, government-owned electricity authorities were separated into separate generation, transmission, distribution and retail sectors in each State and a competitive, wholesale market for electricity, the National Electricity Market (NEM) began operation in December 1998. The goal of deregulation was (and remains) increased competition in electricity supply, so that consumers may enjoy wider choice and lower prices. The first benefit has largely been delivered but it is arguable whether the second benefit of lower prices has been realised. Increased competition has come at the price of increased wholesale price volatility, which brings with it increased cost as market participants seek to trade profitably and manage the increase in price risk. In the NEM, generators compete to sell into a pool market and distributors purchase electricity from the pool at prices determined by demand and supply, on a half-hourly basis. These market-clearing prices can be extremely volatile. Electricity prices are generally characterised by significant seasonal patterns, on an intra-day, weekly and monthly basis, as demand and supply conditions vary. Prices are also characterised by strong mean-reversion and extremely high spikes in price. While long-run mean prices typically range between $30 and $45 per megawatt hour, prices can spike to levels above $9,000 or $10,000 per megawatt hour from time to time. These spikes tend to be sporadic and very short-lived, rarely lasting for more than an hour or two. Although infrequent, spikes are the major contributor to price volatility and their evolution and causes need to be investigated and understood. The purpose of this thesis is to investigate and model Australian electricity prices. The research work presented is mostly empirical, with the early analytical chapters focusing on investigating the presence and significance of seasonal factors and spikes in electricity price and demand. In subsequent chapters this work is extended into analysis of the underlying volatility processes and the interaction between extreme values in demand and price is specifically investigated. The findings of the thesis are that while the characteristics of strong seasonal patterns and spikes that are generally observed in similar electricity markets are present in the NEM in both price and demand, there is significant variation in their presence and effect between the regional pools. The study also finds that while time-varying volatility is evident in the price series there is again some variation in the way this is characterised between states. A further finding challenges the accepted wisdom that demand peaks drive price spikes at the extremes and shows empirically that price spikes are more likely to be caused by supply disruptions than extremes of demand. The findings provide useful insight into this highly idiosyncratic but economically important national market.
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Mazibuko, Palasta. "Economic growth and commodity-market volatility in South Africa." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/6170.
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Thesis (MBA (Business Management))--Stellenbosch University, 2008.ENGLISH ABSTRACT: This research studies the relationship between economic growth and commodity-market volatility in South Africa. The mining industry, largely supported by gold, diamonds, coal, iron ore and platinum-group metals, has played a central role in South Africa's economic development. The commodities that were selected for the study are the five major minerals, namely gold, coal, iron are, platinum-group metals and diamonds. It investigates two central questions, the first of which is whether the mining of the above commodities still makes a significant contribution to the South African economy in terms of employment, revenue and foreign-currency earning. The second is whether there is a link that reflects a statistically and economically significant association between commodity-price volatility and economic growth in South Africa. The economic environment in South Africa has been extremely positive, with a growth averaging around 5% for the period 2004-2006. An important contributing factor to this favourable environment has been the behaviour of mineral commodity prices. Mining makes a direct and indirect contribution of approximately 15% to GOP, accounts for around 50% of merchandise exports (including primary and beneficiated mineral exports), 12% of fixed investment, 30% of the market value of the JSE limited and 20% of formal-sector employment. Therefore, mining remains a key foundation of the South African economy. Time series data analysis confirms that the volatility of the major foreign currency-earning commodities - gold, platinum, coal, diamonds and iron ore - are negatively or weakly related. This relationship actually reflects the harmful effect of the volatility of these commodities on economic growth. Until recently, South Africa was heavily dependent on exports of primary commodities. Since the commodity prices are highly volatile, South Africa has to cope with large shocks, both positive and negative. Commodity cycles used to be determined by the growth cycle in the United States, but more recently, with the emergence of the Asian economies and China, in particular, the dominant influence of the United States economy on the commodity cycle has waned. The continuing instability in commodity prices and export earnings of South Africa has to be addressed by diversifying the exports towards more dynamic products; particularly manufactured goods and services.
AFRIKAANSE OPSOMMING: Die verwantskap tussen ekonomiese groei in Suid-Afrika en die mynbedryf, wat hoofsaaklik ondersteun word deur goud, diamante, steenkool, ystererts en die platinumgroepmetale, het 'n sentrale rol in Suid-Afrika se ekonomiese ontwikkeling gespeel. Die kommoditeite wat vir hierdie navorsing gebruik word, is die vyf belangrikste minerale, naamlik goud, steenkool, ystererts, die platinumgroepmetale en diamante. Twee sleutelvraagstukke word hier ondersoek, waarvan die eerste dit bevraagteken of die ontginning van bogenoemde kommoditeite nog steeds 'n belangrike bydrae tot die Suid-Afrikaanse ekonomie lewer wat indiensneming, inkomste en buitelandse valuta betref. Tweedens word daar ondersoek of daar enige skakel is wat 'n statistiese en ekonomies betekenisvolle verwantskap tussen kommoditeitsprysonbestendigheid en die ekonomiese groei van Suid-Afrika weerspieel. Die ekonomiese omgewing in Suid-Afrika was besonder positief, met 'n groeikoers van ongeveer 5% gedurende die 2004-2006-tydperk. Die gedrag van mineraalkommoditeitspryse het 'n belangrike bydrae tot die gunstige ekonomiese omgewing gelewer. Mynwese lewer 'n direkte en indirekte bydrae van ongeveer 15% tot die algemene binnelandse produk, is verantwoordelik vir ongeveer 50% van die uitvoer van handelsware (insluitend primere en veredelde mineraaluitvoere), 12% van vaste beleggings, 30% van die markwaarde van die Johannesburgse Aandelebeurs en 20% van die werksgeleenthede in die formele sektor. Daarom is mynwese 'n sentrale deel van die Suid-Afrikaanse ekonomie. Die ontleding van tydreeksdata bevestig dat die onbestendigheid van die belangrikste kommoditeite wat buitelandse valuta verdien, naamlik goud, platinum, steenkool, diamante en ystererts, negatief of swak verwant is. Hierdie verwantskap weerspieel eerder die skadelike uitwerking van hierdie kommoditeite se onbestendigheid op ekonomiese groei. Tot onlangs was Suid-Afrika grootliks afhanklik van die uitvoer van primere kommoditeite en die pryse van hierdie kommoditeite is baie onbestendig. Suid-Afrika moes dus groot skokke, positief sowel as negatief, die hoof bied. Die groeisiklus in Amerika het in die verlede die kommoditeitsiklusse bepaal, maar meer onlangs het die Asiatiese ekonomiee en veral China die dominante invloed van ekonomiese Amerika laat afneem. Die voortdurende onstabiliteit in kommoditeitspryse en buitelandse inkomste vir Suid-Afrika moet meer aandag geniet deur uitvoere te diversifiseer na meer dinamiese produkte, veral vervaardigde produkte en dienslewering.
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Wang, Ying. "Essays on Risk Management for Agricultural Commodity Futures Market." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461192690.
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Zewdu, Assegid. "Ethiopian Commodity Exchange (ECX)-Linking farmers to the market." Thesis, Örebro universitet, Handelshögskolan vid Örebro universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-12556.
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Brunetti, Celso. "Comovement and volatility in international asset markets." Thesis, Queen Mary, University of London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322235.
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Dai, Jingyu. "Testing Overreaction and Under-reaction in the Commodity Futures Market." Thesis, Singapore Management University (Singapore), 2013. http://pqdtopen.proquest.com/#viewpdf?dispub=1548068.
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Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among investors.
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Gohou, Gaston Logoué Niansoit. "Essays on commodity market liberalization, spatial competition and farmer's price." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/3849.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2006.Thesis research directed by: Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Cavus, Mustafa. "The dynamics of a commodity market : implications for forward pricing." Thesis, University of Manchester, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629471.
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There is a growing menu of forward pricing models. Each model has a different specification regarding the nature of its underlying variables. This study critically evaluates, suggests extensions to and proposes alternative models. After reviewing the literature, we then investigate the dynamics of a market (in this study the WTI crude oil market) and based on these findings we specify the underlying stochastic processes of the model. Specifically, we perform series of econometric tests in attempting to pinpoint the nature of the variables; our focus is on the spot price, the convenience yield, and the long-term price of oil. We conclude that both the spot price and the convenience yield follow mean reverting patterns whereas the long-term price of oil is not a stationary process. We also find that there is a strong interaction between these three variables. The current models in the literature either neglect some fundamental dynamics or do not correctly specify the functional form of the underlying processes. For example, Gibson and Schwartz (1990) mis-specify the functional form followed by the spot price, Gabillon (1991) neglects the stochastic nature of the convenience yield. In this study, we suggest a model which is consistent with the empirical findings in the crude oil market. In particular, we provide a framework that is able to incorporate the dynamics of the crude oil market. We derive various closed form solutions and one general solution that is rich enough to incorporate solutions to all present forward pricing models. We also suggest quasi closed-form solutions for the stochastic volatility problem in forward pricing, a notion which has not been mentioned in the literature. We then compare the performance of the alternative models in fitting the term structure of actual oil forward prices. Our results support the hypothesis that a model incorporating the underlying dynamics of a market outperforms models that suffer from specification problems.
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Ryu, Yul. "Primary commodity and its derivatives: Volatility relationships and market efficiency." Case Western Reserve University School of Graduate Studies / OhioLINK, 1993. http://rave.ohiolink.edu/etdc/view?acc_num=case1056738980.
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Kim, Sang Hyo. "Analysis of Agricultural Commodity Storage Using Futures and Options Market." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436958589.
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Gurrib, Muhammad Ikhlaas. "Behaviour and performance of key market players in the US futures markets." Curtin University of Technology, School of Economics and Finance, 2008. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=117995.
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This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment index, results suggest hedgers (speculators) exhibit significant positive feedback trading in 15 (7) markets. Information variables like the S&P500 index dividend yield, corporate yield spread and the three months treasury bill rate were mostly unimportant in large players’ trading decisions. Hedgers had better market timing abilities than speculators in judging the direction of the market in one month. The poor market timing abilities and poor significance of positive feedback results suggest higher trading frequency intervals for speculators. Hedging pressures, which measure the presence of risk premium in futures markets, were insignificant mostly in agricultural markets. As a robust test of hedging pressures, price pressure tests found risk premium to be still significant for silver, crude oil and live cattle. The positive feedback behaviour and negative market timing abilities suggest hedgers in heating oil and Japanese yen destabilize futures prices, and points to a need to check CFTC’s (Commodity Futures Trading Commission) position limits regulation in these markets. In fact, large hedgers in these two markets are more likely to be leading behaviour, in that they have more absolute net positions than speculators. Alternatively stated, positive feedback hedgers in these two markets are more likely to lead institutions and investors to buy (sell) overpriced (underpriced) contracts, eventually leading to divergence of prices away from fundamentals.Atlhought hedgers in crude oil had significant positive feedback behaviour and negative market timing skills, they would not have much of a destabilizing effect over remaining players because the mean net positions of hedgers and speculators were not far apart. While the results are statistically significant, it is suggested these could be economically significant, in that there have been no regulation on position limits at all for hedgers compared to speculators who are imposed with strict limits from the CFTC. Further, mean equations were regressed against decomposed variables, to see how much of the futures returns are attributed to expected components of variables such as net positions, sentiment and information variables. While the expected components of variables are derived by ensuring there are enough ARMA (autoregressive and moving average) terms to make them statistically and economically reliable, the unexpected components of variables measure the residual on differences of the series from its mean. When decomposing net positions against returns, it was found expected net positions to be negatively related to hedgers’ returns in mostly agricultural markets. Speculators’ expected (unexpected) positions were less (more) significant in explaining actual returns, suggesting hedgers are more prone in setting an expected net position at the start of the trading month to determine actual returns rather than readjusting their net positions frequently all throughout the remaining days of the month. While it important to see how futures returns are determined by expected and unexpected values, it is also essential to see how volatility is affected as well.
In an attempt to cover three broad types of volatility measures, idiosyncratic volatility, GARCH based volatility (variance based), and PARCH based volatility (standard deviation) are used. Net positions of hedgers (expected and unexpected) tend to have less effect on idiosyncratic volatility than speculators that tended to add to volatility, reinforcing that hedgers trading activity hardly affect the volatility in their returns. This suggest they are better informed by having a better control over their risk (volatility) measures. The GARCH model showed more reliance of news of volatility from previous month in speculators’ volatility. Hedgers’ and speculators’ volatility had a tendency to decay over time except for hedgers’ volatility in Treasury bonds and coffee, and gold and S&P500 for speculators’ volatility. The PARCH model exhibited more negative components in explaining current volatility. Only in crude oil, heating oil and wheat (Chicago) were idiosyncratic volatility positively related to return, reinforcing the suggestion for stringent regulation in the heating oil market. Expected idiosyncratic volatility was lower (higher) for hedgers (speculators) as expected under portfolio theory. Markets where variance or standard deviation are smaller than those of speculators support the price insurance theory where hedging enables traders to insure against the risk of price fluctuations. Where variance or standard deviation of hedgers is greater than speculators, this suggest the motivation to use futures contracts not primarily to reduce risk, but by institutional characteristics of the futures exchanges like regulation ensuring liquidity.
Results were also supportive that there was higher fluctuations in currency and financial markets due to the higher number of contracts traded and players present. Further, the four models (GARCH normal, GARCH t, PARCH normal and PARCH t) showed returns were leptokurtic. The PARCH model, under normal distribution, produced the best forecast of one-month return in ten markets. Standard deviation and variance for both hedgers’ and speculators’ results were mixed, explained by a desire to reduce risk or other institutional characteristics like regulation ensuring liquidity. Moreover, idiosyncratic volatility failed to accurately forecast the risk (standard deviation or variance based) that provided a good forecast of one-month return. This supports not only the superiority of ARCH based models over models that assume equally weighted average of past squared residuals, but also the presence of time varying volatility in futures prices time series. The last section of the study involved a stability and events analysis, using recursive estimation methods. The trading determinant model, mean equation model , return and risk model, trading activity model and volatility models were all found to be stable following the effect of major global economic events of the 1990s. Models with risk being proxied as standard deviation showed more structural breaks than where variance was used. Overall, major macroeconomic events didn’t have any significant effect upon the large hedgers’ and speculators’ behaviour and performance over the last decade.
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Howell, James Andreas. "An analysis of speculator behavior and the dynamics of price in a futures market." Diss., Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/24847.
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Cristini, Annalisa. "OECD activity and commodity prices." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.670315.
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Andreasson, Pierre, and Jonathan Siverskog. "Cross-market linkages and the role of speculation in agricultural futures markets." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120605.
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In this study we analyse the role of speculation in forging cross-market linkages between agriculture, equity and crude oil over the period 1992-2014. The market interdependence of ten U.S. traded agricultural commodities futures is measured through the spillover index of Diebold and Yilmaz (2009, 2012) and the dynamic conditional correlation framework of Engle (2002). Utilising data from the U.S. Commodity Futures Trading Commission, ve dierent measures of speculation are constructed, which are used to examine the long-run and short-run dynamics between market integration and speculation. To explore time-varying characteristics in this relationship, and as a test for robustness, we perform a sub-sampling analysis for the periods 1992-2006 and 2006-2014. We show that cross-market linkages grew stronger post-2005, particularly in the aftermath of the 2008 global financial crisis. The results of our econometric analysis indicate that any conclusions regarding the role of speculation in this process are highly sensitive both to the choice of market integration measure, as well as to how the extent of speculation is captured. Overall, though, there is little to indicate that speculation has played an important role in creating cross-market linkages. We do provide some evidence of market integration increasing with market size, but other factors, such as inflation and exchange rates, seem to provide better explanations of agriculture-equity-energy price dynamics. In line with previous research, we also find market interdependence to increase with stock market uncertainty, which suggests that the diversification benefits of commodity futures investments are actually reduced when needed the most. Considered together with our findings on the sizes of markets, which are increasingly made up of speculators, it appears at least possible that financialisation has made food markets more vulnerable to disturbances in financial markets.
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Hollywood, Lynsey. "Examining dimensions of consumer behaviour within the commodity liquid milk market." Thesis, University of Ulster, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.516535.
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Zhou, Feng. "Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061.
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Mao, Yixiao. "On aspects of inflation in the context of commodity and futures market." Thesis, University of Glasgow, 2018. http://theses.gla.ac.uk/30878/.
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This thesis has developed alternative approaches for inflation forecasting and analysed the inflation risk premium in the context of commodity futures and options markets. Chapter 1 proposes an approach to tackle the non-availability of exchange-traded inflation futures price data. The composition of the consumer price index enables us to recognise the commodities which correspond to the consumption goods in the CPI. By averaging the commodity futures prices in the same way as the CPI is composed, we construct a synthetic futures contract written on the consumer price index, i.e. a futures on the CPI proxy, based on which we derive a ‘point’ forecast of inflation rate. Chapter 2 analyses the term structures of futures on the CPI proxy using the Schwartz (1997) method. Inspired by the Schwartz (1997)’s framework, we develop a two-factor valuation model filtering the spot consumer price index and the instantaneous real interest rate. The Kalman filter is applied to estimate the two-factor valuation model parameters. The filtered spot consumer price index may help alleviate the publication lag in the U.S. CPI-U index. What’s more, the two-factor valuation model is capable of forecasting the downward trend in the U.S. CPI inflation rate during May 2014 to December 2014. Chapter 3 forecasts the inflation rate from the perspective of commodity futures option market. We construct a synthetic option contract written on the futures on the CPI proxy. Based on a synthetic option implied volatility surface, we derive an interval estimate for the one-year ahead expected inflation rate. Moreover, the fact that commodity futures option market data is high-frequency enables our method of inflation forecasting to theoretically capture the market expectation of price level evolution in the real time. Chapter 4 estimates the inflation risk premium using commodity market data. We derive a link between the inflation risk premium and the risk premium associated with the futures on the CPI proxy. The negative inflation risk premium estimates in our result are consistent with the recent inflation risk premium estimates in the macroeconomic inflation risk premium literature.
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Hovav, Michal. "Tantalum wire product development strategy : gaining a competitive advantage in a commodity market." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/37130.
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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management; and, (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering; in conjunction with the Leaders for Manufacturing Program at MIT, 2006.Includes bibliographical references (p. 52-53).
In the face of growing competition and the commoditization in the Tantalum Wire business, H.C. Starck must find a way to differentiate their wire products from competitors in order to survive in this market. This thesis studies the possibility of developing a new product into the market by launching a product development process, with the goal of gaining a competitive advantage and sustaining it, thus increasing profitability over time. For this purpose a decision support model was developed to analyze the economical and operational feasibility of a new product. All aspects of launching a new product development process in H.C. Starck Wire department were modeled to simulate uncertainties across the Tantalum supply-chain, and recommendations were drawn based on results. A number of goals were addressed in this study: First, a robust link was created between the scientific potential and the economical potential of a new wire development. Second, a recommended strategy was defined for H.C.Starck Wire department in order to differentiate their products in lieu of low cost competition.
by Michal Hovav.
S.M.
M.B.A.
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Dowdall, Courtney M. "Small Farmer Market Knowledge and Specialty Coffee Commodity Chains in Western Highlands Guatemala." FIU Digital Commons, 2012. http://digitalcommons.fiu.edu/etd/638.
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For producers motivated by their new status as self-employed, landowning, capitalist coffee growers, specialty coffee presents an opportunity to proactively change the way they participate in the international market. Now responsible for determining their own path, many producers have jumped at the chance to enhance the value of their product and participate in the new “fair trade” market. But recent trends in the international coffee price have led many producers to wonder why their efforts to produce a certified Fair Trade and organic product are not generating the price advantage they had anticipated. My study incorporates data collected in eighteen months of fieldwork, including more than 45 interviews with coffee producers and fair trade roasters, 90 surveys of coffee growers, and ongoing participant observation to understand how fair trade certification, as both a market system and development program, meets the expectations of the coffee growers. By comparing three coffee cooperatives that have engaged the Fair Trade system to disparate ends, the results of this investigation are three case studies that demonstrate how global processes of certification, commodity trade, market interaction, and development aid effect social and cultural change within communities. This study frames several lessons learned in terms of 1. socioeconomic impacts of fair trade, 2. characteristics associated with positive development encounters, and 3. potential for commodity producers to capture value further along their global value chain. Commodity chain comparisons indicate the Fair Trade certified cooperative receives the highest per-pound price, though these findings are complicated by costs associate with certification and producers’ perceptions of an “unjust” system. Fair trade-supported projects are demonstrated as more “successful” in the eyes of recipients, though their attention to detail can just as easily result in “failure”. Finally, survey results reveal just how limited is the market knowledge of producers in each cooperative, though fair trade does, in fact, provide a rare opportunity for producers to learn about consumer demand for coffee quality. Though bittersweet, the fair trade experiences described here present a learning opportunity for a wide range of audiences, from the certified to the certifiers to the concerned public and conscientious consumer.
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Bata, Jiří. "Návrh marketingového řízení společnosti." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-376769.
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The aim of this thesis is to assess the current situation and propose appropriate marketing management of joint-stock company Moravian ceramic factories with business activities in the field of metallurgy and foundry.
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Суярова, Олена Олексіївна, Елена Алексеевна Суярова, Olena Oleksiivna Suiarova, and І. В. Василевська. "Методологія аналізу цінової політики конкурентів на товарному ринку." Thesis, Видавництво СумДУ, 2010. http://essuir.sumdu.edu.ua/handle/123456789/14812.
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Borg, Elin, and Ilya Kits. "Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach." Thesis, Linköpings universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940.
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This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. We employ the cross-quantilogram approach developed by Han et al. (2016) to examine dependence structures in the full quantile range, which represents different market states. Furthermore, we control for different lag structures, uncertainties and time-varying dependence structures. From our results we conclude the following: 1) There are time-varying asymmetric and symmetric dependencies in different commodity markets. There is asymmetric dependence between commodity futures and producer indices in the precious metals, gold and agricultural markets. In the oil market, the relationship is symmetrical. No relationship is found in the natural gas market. 2) Heterogenous dependence structures are identified in the gold, precious metals and agricultural commodity markets. The oil market uncovers homogenous dependence structures. 3) The observed spillover in all markets occur in the very short run, at one day, and dissipates after a week and additionally after a month. Our results provide new information regarding commodity diversification attributes which can be useful to investors. Our results also provide important policy implications: Since volatility spillovers between commodity futures and producer indices may deter investors from including commodities in their portfolios, as they might lose their diversifier qualities, it is important to enforce policies that will prevent the spillovers between the assets. Further, regulations of the commodity futures markets could be an alternative to reduce the spillovers.
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Goetz, Cole Louis. "The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.
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This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.
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Wright, Jeffrey. "A Tournament Approach to Price Discovery in the US Cattle Market." DigitalCommons@USU, 2017. https://digitalcommons.usu.edu/etd/6252.
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Cattle price discovery is a process of determining the price in the market through the interactions of cattle buyers (packers) and sellers (ranchers). Locating the price discovery center or market, and estimating price interactions among the regional fed cattle markets and also among feeder cattle markets can help define a relevant fed cattle procurement market. This research identifies that the U.S. cattle markets is discovered in the futures markets, feeder cattle futures and fed futures.
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Silverstone, Daniel Maurice. "The ecstasy of consumption : the drug ecstasy as a mass commodity in a global market." Thesis, London School of Economics and Political Science (University of London), 2003. http://etheses.lse.ac.uk/2097/.
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This thesis is an examination of the drug, ecstasy. The central objective was to investigate the people who used the drug, where they used it and how it was dealt. In pursuit of this I undertook two empirical pieces of work, a series of interviews and an ethnography. The interviews were of two sorts, firstly a set of longitudinal interviews of middle class ecstasy users, first contacted when they had just began taking the drug and again when they had stopped. These interviews were supported by one-off interviews with three other groups with similar class backgrounds. The other part of the study was a nine month ethnography of a large London night-club, where the author worked first as part of the bar staff and secondly as part of the security team. This involved participant observation with an occupational culture which is hard to gain access to and observation of an under researched environment. The two studies are linked, as the club was typical of one that my respondents visited and both groups were linked by their intense involvement in drug subcultures. In the first half of the thesis I concentrate on occupational culture and illuminate how criminal activity was structured within the club. In the latter section I concentrate on how the respondents subjectively felt about their drug use. In the last part of thesis I put the rise of ecstasy into the context of British popular culture. On the one hand I argue that it could be posited as part of new dystopian trends, on the other I argue against this, instead characterising its rise as something more positive and more inevitable. However, I conclude that our current methods of regulation are antiquated and unequal.
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Sushil, Mohan. "Market-based price-risk management by commodity producers in developing countries : the case of coffee." Thesis, University of Strathclyde, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415369.
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Tantakis, Penny (Penny Aphrodite) Carleton University Dissertation English. ""I am the market": a critique of the commodity in selected fiction by Margaret Atwood." Ottawa, 1994.
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Tang, Yin Ha. "The commodity housing market and tenure decision in Chinese cities : an analysis of Guangzhou city." HKBU Institutional Repository, 1999. http://repository.hkbu.edu.hk/etd_ra/128.
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Zhou, Haijiang. "Essays on theoretical and empirical studies of commodity futures markets." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1110165219.
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Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains xi, 114 p.; also includes graphics (some col.) Includes bibliographical references (p. 108-114). Available online via OhioLINK's ETD Center
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Hájková, Markéta. "Zlato a stříbro v mezinárodním obchodě - DIPLOMOVÝ SEMINÁŘ." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-162261.
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This work is focused on the description of the commodity market as a market in which a lot of opportunities are hidden. This market is an attractive investment for obtaining and saving money. The aim is to clarify the attractiveness of commodities to investors and through the historical development to analyze the commodity market in today's society. Another goal is to introduce commodities as instruments, which have become a competitor to other forms of investment (eg shares, bonds or real estate). Based on the findings from the analysis of the history, current market expert and major investors and investment opportunities will be filled with the main objective of the thesis, ie, prediction of future market development of selected commodities - gold, oil, coffee and wheat - in the next decade.
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Dojmazov, Petr. "Návrh marketingového řízení firmy." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-222282.
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The goal of this diploma thesis is the analysis of current situation of communication agency Aetna, s.r.o., and following suggestion of a suitable strategy, which should provide successful development of the company and its implementation in the market of communication agencies. The emphasis was put especially on the analysis of the current situation and on the basis of its evaluation, new vision and new direction for the agency to follow in order to be successful and competitive even in the future.
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Martu, Eugeniu. "Analýza trhu nefinančních derivátů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73723.
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In long term well-diversified portfolio of commodities is not only profitable as well as a portfolio of stocks, but they are also slightly less risky. Profitability of the portfolio of commodities is negatively correlated with the return of the portfolio of stocks and bonds. This means that commodities are effective in diversifying equity and bond portfolios. And since this yields negative correlation increases with the length of time. The benefits of diversification are greater the longer they are used. Not only that, since the return of the portfolio of commodities depends positively with inflation, commodities are the most appropriate group of assets to protect against inflation.
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Ely, David Paul. "Futures markets and cash price stability." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272292312.
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Skubic, Michelle Coyne. "Outsourcing market research in Department of Defense commodity acquisition : the issues, concerns, an dprivate industry capabilities /." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2001. http://handle.dtic.mil/100.2/ADA397510.
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Kagochi, John. "Evaluating the competitiveness of US agricultural market commodities the role of technology adoption and commodity differentiation." Saarbrücken VDM Verlag Dr. Müller, 2007. http://d-nb.info/987998358/04.
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Yun, Won-Cheol. "Tax treatment of trade in cattle futures : possible implications to market efficiency and price stability /." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-11242009-020149/.
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Oreamuno, Marco Antonio Artavia. "Stochastic multi-market modeling with "efficient quadratures"." Doctoral thesis, Humboldt-Universität zu Berlin, Landwirtschaftlich-Gärtnerische Fakultät, 2014. http://dx.doi.org/10.18452/16908.
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Stochastische Anwendungen von großen Simulationsmodellen des Agrarsektors werden immer häufiger. Allerdings ist die stochastische Modellierung mit großen Marktmodellen rechenintensiv und mit hohen Kosten für Datenabspeicherung, -analyse und -manipulation verbunden. Gausssche Quadraturen sind effiziente Stichprobenmethoden, die wenige Punkte für die Approximation der zentralen Momente von gemeinsamen Wahrscheinlichkeitsverteilungen brauchen und somit die Kosten der Datenmanipulation senken. Für symmetrische Integrationsräume sind die Ecken des Oktaeder von Stroud (Stroud 1957) Formeln dritten Grades mit minimaler Anzahl von Punkten, die die stochastische Modellierung mit großen Modellen handhabbar machen kann. Es gibt trotzdem die Vermutung, dass Rotationen von Stroud''s Oktaeder einen Einfluss auf die Exaktheit der Quadraturen haben könnten; daher werden in dieser Studie acht unterschiedliche Rotationen (Quadraturformeln) getestet. Es zeigte sich, dass der Gebrauch der Formel von Artavia et al. (2009) oder der von Arndt (1996) bei der Generierung der Quadraturen entscheidend ist, und dass die Formel von Arndt einen höheren Exaktheitsgrad ergibt. Mit der Rotation, die sich aus der Formel von Arndt ergibt und Modellen oder Märkten mit starken Asymmetrien wie der Weizenmarkt in ESIM, könnten die Reihenfolge der stochastischen Variablen in der Kovarianz Matrix (A1 oder A2) oder die Methoden zur Einführung der Kovarianz Matrix (via Cholesky-Zerlegung –C– oder via die Diagonalisierungsmethode –D– ) einen bedeutsamen Einfluss auf die Exaktheit der Quadraturen haben. Mit Arndt''s Formel und weniger asymmetrischen Modellen oder Märkten, wie der Fall von Raps in ESIM, haben die Reihenfolgen A1 und A2 oder die Methoden zur Einführung der Kovarianz Matrix C und D weniger Einfluss auf die Exaktheit der Quadraturen.Recently, stochastic applications of large-scale applied simulation models of agricultural markets have become more common. However, stochastic modeling with large market models incurs high computational and management costs for data storage, analysis and manipulation. Gaussian Quadratures (GQ) are efficient sampling methods requiring few points to approximate the central moments of the joint probability distribution of stochastic variables, and therefore reduce computational costs. For symmetric regions of integration, the vertices of Stroud''s n-octahedron (Stroud 1957) are formulas of degree 3 with minimal number of points, which can make the stochastic modeling with large economic models manageable. However, the conjecture exists that rotations of Stroud''s n-octahedron may have an effect on the accuracy of approximation of the model results. To address this, eight different rotations (quadrature formulas) were tested using the European Simulation Model (ESIM). It was found that using the formulas from Artavia et al. (2009) or Arndt (1996) in the generation of the quadratures is crucial, and furthermore, that the formula from Arndt yields higher accuracy. With the rotation obtained with Arndt''s formula and in models or markets with high asymmetries, as is the case for soft wheat in ESIM, the arrangement of the stochastic variables (A1 or A2) in the covariance matrix or the method selected to induce the covariance matrix (via Cholesky decomposition – C – or via the diagonalization method – D – ) may have a significant effect on the accuracy of the quadratures. With Arndt''s formula and with less asymmetric markets, as is the case for rapeseed in ESIM, the selection of arrangements A1 or A2 and of the method to induce the covariance C or D might not have a significant effect on the accuracy of the quadratures.
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Borocco, Etienne. "The heterogeneity of information and beliefs among operators in the commodity markets." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED072.
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Le projet de thèse consiste à étudier l’hétérogénéité de l’information et des croyances parmi les opérateurs sur les marchés de matières premières pour s’attaquer aux puzzles de la volatilité et de la prime de risque sur ces marchés. La première étape a été d’introduire l’asymétrie d’information dans un modèle de stockage. Il en est ressorti que le marché est efficient et que l’on peut distinguer un effet informationnel aléatoire d’un effet physique déterministe. La deuxième étape est d’estimer empiriquement les paramètres d’une version modifiée du modèle théorique évoqué plus haut. L’hypothèse de rationalité économique est relâchée. Sont introduit des "chartistes" qui suivent les cours. Le but de ce papier est d’estimer leur influence sur la formation des prix. Le marché choisi pour l’étude empirique est le marché du gaz naturel américain Henry hub. La troisième étape est un modèle où agents rationnels et agents à rationalité limitée cohabitent dans un marché de matières premières. Ce dernier chapitre montre comment des traders suivant la tendance sur le marché à terme peuvent déstabiliser le marché physiqueThis Ph.D. project aims to study the heterogeneity of information and beliefs among speculators on commodity markets to tackle the issues of the risk premium and volatility puzzles. The first step was to introduce information asymmetry in a storage model. The output is an efficient market where it is possible to distinguish a random informational effect from a deterministic physical effect. The second step is to estimate empirically the parameters of a modified version of the theoretical model above. The rationality hypothesis is relaxed."Chartists," who are trend-followers, are introduced. The goal of this paper is to estimate their influence on asset pricing. The chosen market for the empirical study is the Henry Hub natural gas market. The third step is a model where rational agents and bounded-rational agents interact together in a commodity market. This last chapter shows how trend-followers in the futures market can destabilize the spot market
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Prakash, Adam B. "The transmission of signals in a decentralised commodity marketing system : the case of the UK pork market." Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.299181.
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MAO, Qianqian [Verfasser], Jens-Peter [Akademischer Betreuer] Loy, and Uwe [Gutachter] Latacz-Lohmann. "Price Bubbles in Chinese Agricultural Commodity Market / Qianqian MAO ; Gutachter: Uwe Latacz-Lohmann ; Betreuer: Jens-Peter Loy." Kiel : Universitätsbibliothek Kiel, 2020. http://d-nb.info/1228334161/34.
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Tibaingana, Anthony. "Extending the theory of storage to a perishable commodity in an underdeveloped market : a case of Uganda." Thesis, University of Pretoria, 2017. http://hdl.handle.net/2263/62589.
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The challenges limiting agricultural development in underdeveloped markets relate directly to
inappropriate storage facilities. These challenges are not unique to Uganda where majority
smallholder maize farmers use traditional storage. Inappropriate storage leads to losses in quantity
and quality, which negatively affect food and income security. The study is premised on the theory
of storage advanced by Kaldor in 1939. Its aims were: to examine the role of household
characteristics on choice of storage type used; to assess whether the cost of storage can be used to
identify the optimal storage type; to evaluate the theory of storage extension to underdeveloped
market; and to explore smallholder maize farmers’ perception of using storage types as a strategy
for building a business framework. The study was conducted in the eastern region of Uganda using
concurrent mixed method research. The study was conducted in the eastern region of Uganda using
concurrent mixed method research and a multistage cluster sampling method. Districts and subcounties
were selected based on highest, medium and low maize production. Simple random
sampling was used to select a sample of 270 smallholder maize farmers, maintaining equal
distribution across districts. Respondents for the focus group discussion and key informant
interviews were purposively selected. A questionnaire was used to collect quantitative data. Focus
group discussion and interview guides were used to collect qualitative data at community level.
The findings show a significant relationship between choice of storage types used and the
household characteristics; district (location) p-value = 0.000, gender p-value= 0.009, acquisition
of the storage type p-value= 0.000, and seasonal use of storage type p-value= 0.032 at a confidence
level of p<0.05. The cost of storage cannot be used to identify the optimal storage method.
Household characteristics and cost of storage affected smallholder maize farmers’ share of the
maize marketing margin. Most participants supported using storage as a strategy to increase their
share of the maize marketing margin.
The study shows how storage can be used as a strategy to increase the share of the maize marketing
margin for smallholders and that with adjustments for context the theory of storage can be extended
to underdeveloped markets. Findings close the knowledge gap concerning the theory of storage
and its extension to underdeveloped markets, and underlines that storage strategies need to be
improved to ensure improved grain quality and quantity to support the business framework. The
findings provide information about storage challenges useful to smallholder maize farmers,
researchers and policy-makers.Thesis (PhD)--University of Pretoria, 2017.
Gordon Institute of Business Science (GIBS)
PhD
Unrestricted
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Sousa, Evemilia. "Análise da volatilidade dos preços futuros do açúcar." Universidade Federal da Paraíba, 2015. http://tede.biblioteca.ufpb.br:8080/handle/tede/5427.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
This research aimed to analyze the dynamics and transmission of volatility of future sugar prices traded at the New York Stock Exchange for the Brazilian spot market between the years 2003 and 2014. The dynamics of volatility was estimated by the ARCH family models: GARCH, EGARCH and TARCH. In order to verify the transmission of the future foreign market prices to the Brazilian spot market ones, we applied Engler & Granger’s cointegration test. The results indicated: a) the existence of cointegration between the sugar prices of future foreign market and the Brazilian spot market prices, showing that future market price information is transmitted to the spot market prices in the three periods analyzed ; b) high volatility of the future sugar market, resulting from the sum of the volatility persistence coefficients; c) the presence of the asymmetric effect of volatility; d) absence of the leverage effect; e) in period 1 (05/20/2003 to 04/30/2014), the EGARCH model (2.1), presented the best fit to estimate the dynamics of the volatility of sugar future returns, considering the AIC and SBC criteria ; f) in period 2 (05/20/2003 to 06/21/2012), there was also the best fit through the EGARCH model (2.1); g) in period 3 (06/22/2012 to 04/30/2014), the GARCH model (1.1) presented the best fit in measuring the dynamics of the volatility of sugar future returns.
Esta pesquisa teve como objetivo analisar a dinâmica e transmissão da volatilidade dos preços futuros do açúcar negociados na Bolsa de Nova York para o mercado à vista brasileiro entre os anos de 2003 e 2014. A dinâmica da volatilidade foi estimada através dos modelos da família ARCH: GARCH, EGARCH e TARCH. No intuito de verificar a transmissão dos preços do mercado futuro estrangeiro para os preços do mercado à vista brasileiro, aplicou-se o teste de cointegração de Engler & Granger (1987). Os resultados indicaram: a) a existência de cointegração entre os preços do mercado futuro estrangeiro do açúcar com os preços do mercado à vista brasileiro, evidenciando que informações dos preços do mercado futuro são transmitidas para os preços do mercado à vista, nos três períodos analisados; b) acentuada volatilidade do mercado futuro do açúcar, resultante do somatório dos coeficientes de persistência da volatilidade; c) presença do efeito assimetria da volatilidade; d) ausência do efeito alavancagem; e) no período 1 (20/05/2003 a 30/04/2014), o modelo EGARCH (2,1), apresentou o melhor ajustamento na estimação da dinâmica da volatilidade dos retornos futuros do açúcar, considerando os critérios AIC e SBC; f) no período 2 (20/05/2003 a 21/06/2012), ocorreu igualmente o melhor ajustamento através do modelo EGARCH (2,1); g) no período 3 (22/06/2012 a 30/04/2014), o modelo GARCH (1,1) foi o que apresentou o melhor ajustamento na mensuração da dinâmica da volatilidade dos retornos futuros do açúcar.